Contract month: Stock index futures are the current month, the next month and the last two quarters, and four contracts are listed and traded at the same time. The contract month of treasury bond futures is the month of the last three quarters, and only three contracts are listed and traded.
Subject matter of the contract: The stock index futures are the only Shanghai-Shenzhen 300 index, but the 5-year treasury bond futures are virtual "nominal standard bonds", that is, the medium-term treasury bonds with a face value of 654.38+0 million yuan and coupon rate's 3%. Its deliverable bonds include a "basket" of fixed-rate government bonds, with a remaining maturity of 4-7 years on the first day of the delivery month. Because the coupon rate and maturity of each bond are different, it must be converted into the nominal standard bond of the contract target through the "conversion coefficient" (that is, the net price of the deliverable national debt with the face value of 1 yuan on the final delivery date). The "conversion factor" was announced when the contract of CICC was listed, and its value remained unchanged during the contract period.
Trading time: Treasury futures are usually the same as stock index futures, that is, 9:15 ~1:30 on working days and 13: 00 ~ 15 in the afternoon, but the stock index futures on the last trading day are13: 5. This is in line with international practice. Second, on the basis of covering the active period of spot trading of treasury bonds, the delivery seller has more time to borrow funds to ensure smooth delivery and reduce the risk of default.
Price limit and minimum trading margin: stock index futures are 10% and12% of the contract value respectively; Treasury futures are all 2%. The fluctuation of stock index futures on the last trading day and the first day of listing of quarterly and monthly contracts is limited to 20%, and the first day of listing of treasury bonds futures is 4% of the benchmark price. This is because the national debt is a fixed interest rate product, and the spot price of futures fluctuates very little. The daily average fluctuation of spot is usually only 1 cent, and the absolute average fluctuation of futures simulation trading day is only within 0.2 yuan.
Delivery method: Stock index futures are delivered in cash on the last trading day, that is, the delivery date, and the settlement price is the arithmetic average price of the last two hours of the Shanghai and Shenzhen 300 Index. Treasury bond futures are delivered in kind and delivered after four delivery days. The settlement price of delivery is the weighted average price of the whole day's transaction price on the last trading day of the contract according to the volume, and the calculation result is retained to two decimal places.
All futures products are delivered at a uniform price level after trading, and there are as many as 30 kinds of nominal standard bonds corresponding to treasury bonds futures (about 4 of which are the most suitable). Therefore, due to the different bond types and delivery time selected by the seller, the amount paid by the buyer at the final delivery is also different. The actual amount paid by the buyer to the seller per 100 yuan of national debt is the "invoice price", that is, the futures price of the delivery bond × the conversion factor+the accrued interest of the delivery bond.